It is usually crossed, GPS TX to Arduino RX, and GPS RX to Arduino TX.
Just be sure your GPS is the same voltage level as your Arduino. Many GPS modules are 3.3V, and most Arduinos are 5V. Be careful when you connect the GPS Vcc! And you would need to protect a 3.3V GPS RX pin from a 5V Arduino TX pin with level-shifting.
Or tell us your GPS model and which Arduino you're using.
Cheers,
/dev